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Eurex Clearing
As part of a regular review, Eurex Clearing recalibrated the stress period parameters used in its Prisma model for margining of OTC and Exchange Traded Derivatives.
Effective 7 June 2019, the parameterisation of the stress period simulation will be adjusted for all Prisma liquidation groups. The adjustment will affect:
The modified parameters are listed in the Attachment and will be incorporated in the transparency enabler files on the effective date.
Please refer to Table 1 in the Attachment for the new stress periods.
Table 2 in the Attachment shows the updated weighting factors and anchor confidence levels for the stress periods.
Further information
| Recipients: | All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors |
| Target groups: | Front Office/Trading, Middle + Back Office, IT/System Administration |
| Contact: | Risk Exposure Management, T +49-69-211-1 24 52, F +49-69-211-1 84 40, risk@eurexclearing.com |
| Authorised by: | Thomas Laux |